In the US, I like to use the geospatial library websites from different universities. They usually contain some world wide reference layers, and some detailed info on a state or two. The University of Washington's website is just one example.

Geonames aggregates a lot of different data sources, and thus is a little inconsistent. However, it has a lot of features in it.

Again, Natural Earth provides data here, in flavours that include more or less towns. I haven't used this dataset, but I would expect it to be of highly quality given there other products.

geolocated climate data (avg temp,
humidity, rain, as polygons)

For climatic data you cannot go past WorldClim. It contains raster datasets for current and past climates (and if you're feeling adventurous, even a future dataset based on IPCCC models). It includes monthly data for mean, min and maximum temperatures, precipitation and altitude. It's a reasonably complex dataset, so it might take a while to understand what's there.

For American hurricane tracks, the National Oceanic and Atmospheric Administration provides an excellent historical dataset. I am not aware of datasets for other areas.

store location of international
chains (mcdonalds, for example)

This is a bit more difficult. AggData sell (at affordable prices) dataset for hundreds of different chains in the USA. Historical Walmart store locations in the USA are available here, along with code to visualise them. Mainitaining a global data-set for these things sounds like a worthy project!